Risk of Insolvency and Return of Shares: Empirical Analysis of Altman's Z-Score in the Peruvian Mining Sector Between 2008-2018

DOI:  https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558

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Published: Feb 3, 2021
Updated: 2021-02-03
Versions:
2021-02-03 (3)
Issue: Vol. 23 No. 40 (2021)
Section Scientific and technological research article


Keywords: Financial distress , solvency risk , Z-Score , historical stock performance , emerging markets , mining sector problemas financieros , riesgo de insolvencia , puntuación z , rendimiento histórico de las acciones , mercados emergentes , sector minero problemas financeiros , risco de inadimplência , pontuação Z , rendimento histórico das ações , mercados emergentes , setor mineiro

Main Article Content

Authors

Edmundo R Lizarzaburu Bolaños Universidad Esan
Kurt Burneo CENTRUM Católica Graduate Business School (CCGBS), Lima, Perú / Pontificia Universidad Católica del Perú (PUCP)
Luis Berggrun CESA Business School, Cll 35 N° 5ª, Bogota, Colombia
Abstract

This research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In this sense, daily data was collected from the S&P/BVL Peru Select index and the Peruvian 10-year Sovereign Bond between 2008-2018, approximated quarterly by the geometric average to homogenize them with the frequency of the Z. Thus, two central results were obtained: 1) The Z-Score, as an estimator of insolvency risk, is not valid to explain the behavior of the historical return of the shares, and 2) The Market Premium is statistically significant within the yield analysis. Also, contrary to the common literature, the results suggest the validity of Sharpe's conventional CAPM.

Author Biography

Edmundo R Lizarzaburu Bolaños, Universidad Esan

Edmundo R Lizarzaburu, Profesor de Finanzas y Riesgos en la Universidad ESAN, Consultor Internacional, Director de Empresas.
How to Cite
Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Risk of Insolvency and Return of Shares: Empirical Analysis of Altman’s Z-Score in the Peruvian Mining Sector Between 2008-2018. Revista Universidad Y Empresa, 23(40). https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 (Original work published January 25, 2021)
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